An Optimal Financial Contract When Posterior Participation Constraint Is Altered
0
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
This paper addresses the pricing of financial services particularly when the profiles of users are distorted due to the change of their reservation utility. The more valuable are the financial services, the higher price the investors are willing pay for them. However, the investors face incentive to mimic the lower type in order to save the cost. Facing this adverse selection problem, the financial intermediary is able to offer the separating price to the different types of agents in lieu of Spence-Mirrlees sorting condition. When the economy is relatively stable and steady, the financial intermediary is able to offer the investors different menu of contracts, with which they reveal their true types and pay the price for the financial service. This may not be the case when the agents are not symmetrically affected by the economy wide crisis. As the recess of economy continues since the onset of the financial crisis, the investor characteristic profiles change so that the investors' willingness to pay is modified. One way to overcome this problem is to maintain the separating price whereas not offering the service through credit rationing, as long as those investors are clearly identified. The current paper, however, shows that the pooling price is even beneficial to the financial intermediary rather than not offering the services because they can save the informational rents that will be paid out to the higher type investors otherwise.
Abstract
This paper addresses the pricing of financial services particularly when the profiles of users are distorted due to the change of their reservation utility. The more valuable are the financial services, the higher price the investors are willing pay for them. However, the investors face incentive to mimic the lower type in order to save the cost. Facing this adverse selection problem, the financial intermediary is able to offer the separating price to the different types of agents in lieu of Spence-Mirrlees sorting condition. When the economy is relatively stable and steady, the financial intermediary is able to offer the investors different menu of contracts, with which they reveal their true types and pay the price for the financial service. This may not be the case when the agents are not symmetrically affected by the economy wide crisis. As the recess of economy continues since the onset of the financial crisis, the investor characteristic profiles change so that the investors' willingness to pay is modified. One way to overcome this problem is to maintain the separating price whereas not offering the service through credit rationing, as long as those investors are clearly identified. The current paper, however, shows that the pooling price is even beneficial to the financial intermediary rather than not offering the services because they can save the informational rents that will be paid out to the higher type investors otherwise.
참고문헌 (22)
- Adverse Section Problems without the Spence-Mirrlees Condition, "Araujo, Aloisio", EPGE, ~, pp.EPGE Ensaios Econộmicos No. 425 (2001)
- David P. Baron, "Regulating a Monopolist with Unknown Costs", Econometrica, 50(4), pp.911~930 (1982)
- Bolton, Patrick, "Contract Theory" (2005), MIT Press
- Drew Fudenberg, "Game Theory" (1991), MIT Press
- Bernard Caillaud, "Government Intervention in Production and Incentives Theory: A Review of Recent Contributions", The RAND Journal of Economics, 19(1), pp.1~26 (1988)
- Maggi, Giovanni, "On Countervailing Incentives", Journal of Economic Theory, 66(1), pp.238~263 (1995)
- Roger Guesnerie, "A complete solution to a class of principal-agent problems with an application to the control of a self - managed firm", Journal Public Economics, 25, pp.329~369 (1984)
- Bruno Jullien, "Participation Constraints in Adverse Selection Models", Journal of Economic Theory, 93(1), pp.1~47 (2000)
- 김성환, "The Effects of Market Structure and Reputation on Bankruptcy and Banks’ Performance", 金融工學硏究, 12(2), pp.139~160 (2013), 한국금융공학회
- Jean-Jacques Laffont, "Information, Incentives and Economic Mechanisms", pp.256~266 (1987), Univ. of Minnesota Press
- Jean-Jacques Laffont, "Optimal Bypass and Cream Skimming", American Economic Review, 80(5), pp.1042~1061 (1990)
- Tracy R. Lewis, "Regulating a Monopolist with Unknown Demand and Cost Functions", The RAND Journal of Economics, 19(3), pp.438~457 (1988)
- Tracy R. Lewis, "Inflexible Rules in Incentive Problems", American Economic Review, 79(1), pp.69~84 (1989)
- Tracy R. Lewis, "Countervailing incentives in agency problems", Journal of Economic Theory, 49(2), pp.294~313 (1989)
- Tracy Lewis, "Motivating wealth-constrained actors", American. Economic Review, 90(4), pp.944~960 (2000)
- Eric Maskin, "Monopoly with Incomplete Information", The RAND Journal of Economics, 15(2), pp.171~196 (1984)
- Sandrine Ollier, "Ex post participation constraint in a principal–agent model with adverse selection and moral hazard", Journal of Economic Theory, 148(6), pp.2383~2403 (2013)
- Jean-Charles Rochet, "Monopoly regulation without the Spence-Mirrlees assumption", Journal of Mathematical Economics, 45(9), pp.693~700 (2009)
- Jean-Charles Rochet, "Ironing, Sweeping, and Multidimensional Screening", Econometrica, 66(4), pp.783~826 (1998)
- Jean-Charles Rochet, "Nonlinear Pricing with Random Participation", The Review of Economic Studies, 69(1), pp.277~311 (2002)
- William P. Rogerson, "The First-Order Approach To Principal-Agent Problems", Econometrica, 53(6), pp.1357~1367 (1985)
- "Third-Degree Price Discrimination: A Clarification" (2008)[URL]